Related papers: An efficient implementation algorithm for quasi-Mo…
We compare the integration error of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods for approximating the normalizing constant of posterior distributions and certain marginal likelihoods. In doing so, we characterize the dependency of…
We present the algorithmic details of the dynamical cluster approximation (DCA), with a quantum Monte Carlo (QMC) method used to solve the effective cluster problem. The DCA is a fully-causal approach which systematically restores non-local…
Monte Carlo studies involving real time dynamics are severely restricted by the sign problem that emerges from highly oscillatory phase of the path integral. In this letter, we present a new method to compute real time quantities on the…
We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation…
We construct numerical integrators for Hamiltonian problems that may advantageously replace the standard Verlet time-stepper within Hybrid Monte Carlo and related simulations. Past attempts have often aimed at boosting the order of accuracy…
Operator learning is a rapidly growing field that aims to approximate nonlinear operators related to partial differential equations (PDEs) using neural operators. These rely on discretization of input and output functions and are, usually,…
We extend our previous work on a semi-Lagrangian adaptive rank (SLAR) integrator, in the finite difference framework for nonlinear Vlasov-Poisson systems, to the general high-order tensor setting. The proposed scheme retains the high-order…
We show how simple kinks and jumps of otherwise smooth integrands over $\mathbb{R}^d$ can be dealt with by a preliminary integration with respect to a single well chosen variable. It is assumed that this preintegration, or conditional…
In this work, we extend the fractional linear multistep methods in [C. Lubich, SIAM J. Math. Anal., 17 (1986), pp.704--719] to the tempered fractional integral and derivative operators in the sense that the tempered fractional derivative…
Designing sample-efficient and computationally feasible reinforcement learning (RL) algorithms is particularly challenging in environments with large or infinite state and action spaces. In this paper, we advance this effort by presenting…
We present an adaptive multilevel Monte Carlo algorithm for solving the stochastic drift-diffusion-Poisson system with non-zero recombination rate. The a-posteriori error is estimated to enable goal-oriented adaptive mesh refinement for the…
Full-history recursive multilevel Picard (MLP) approximation schemes have been shown to overcome the curse of dimensionality in the numerical approximation of high-dimensional semilinear partial differential equations (PDEs) with general…
In this paper we present the first known deterministic algorithm for the construction of multiple rank-1 lattices for the approximation of periodic functions of many variables. The algorithm works by converting a potentially large…
Aiming at a drastic speedup for point-data embeddings at test time, we propose a new framework that uses a pair of multi-layer perceptron (MLP) and look-up table (LUT) to transform point-coordinate inputs into high-dimensional features.…
In lattice QCD, the trace of the inverse of the discretized Dirac operator appears in the disconnected fermion loop contribution to an observable. As simulation methods get more and more precise, these contributions become increasingly…
Quasi-Monte Carlo (QMC) sampling has been developed for integration over $[0,1]^s$ where it has superior accuracy to Monte Carlo (MC) for integrands of bounded variation. Scrambled net quadrature gives allows replication based error…
Monte Carlo maximum likelihood (MCML) provides an elegant approach to find maximum likelihood estimators (MLEs) for latent variable models. However, MCML algorithms are computationally expensive when the latent variables are…
The high computational cost involved in modeling of the progressive fracture simulations using large discrete lattice networks stems from the requirement to solve {\it a new large set of linear equations} every time a new lattice bond is…
In this article we present our implementation of a Hybrid Monte Carlo algorithm for Lattice Gauge Theory using two degenerate flavours of Wilson-Dirac fermions on a Fermi GPU. We find that using registers instead of global memory speeds up…
Quadratic form reduction and lattice reduction are fundamental tools in computational number theory and in computer science, especially in cryptography. The celebrated Lenstra-Lenstra-Lov\'asz reduction algorithm (so-called LLL) has been…